We consider the problem of constructing mean{risk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analys...
Abstract. Traditional stochastic programming is risk neutral in the sense that it is concerned with the optimization of an expectation criterion. A common approach to addressing ri...
Increasing effects of fabrication variability have inspired a growing interest in statistical techniques for design optimization. In this work, we propose a Monte-Carlo driven sto...
This paper derives a new splitting-based decomposition algorithm for convex stochastic programs. It combines certain attractive features of the progressive hedging algorithm of Roc...